Summer Intern - Model Risk Management
Core
Analyze model risk across pricing, margin, clearing fund, stress testing, and liquidity models using statistical, econometric, and machine-learning methods.
Role type
Summer intern, Model Risk Management
Builds
Automated reporting of production vs benchmark discrepancies and root cause analysis results
Domain
Financial services, Derivatives clearing, Model Risk Management
Deliverable
dashboards & analysis
Required skills
Statistical analysis, Econometric modeling, Machine learning, Python or R programming, Financial mathematics (derivatives pricing, stochastic calculus), Data analysis, Excel, PowerPoint
Preferred skills
Knowledge of option implied volatility modeling, Experience with earnings announcement impact analysis
Technologies
Python, R, Excel, PowerPoint
Responsibilities
Study risk management methods at OCC, Conduct ad-hoc analysis of current risk management themes, Design and implement automated reporting of discrepancies, Review and adapt best practices of option implied volatility modeling
Seniority
Summer Intern